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双 · 2023年02月19日

步骤一，直接给了spot curve，那用它来做zero coupon rate 是否也可以？

  1. CFA II
  2. Fixed Income

NO.PZ2018123101000113

问题如下：

Thames reminds Cromwell that her model assumes zero interest rate volatility and a flat government yield curve. Cromwell responds that Thames should relax these unrealistic assumptions. Thames outlines the steps to take in valuing risky bonds under this scenario in Exhibit 1.

EXHIBIT 1 STEPS IN VALUING RISKY BONDS, ARBITRAGE-FREE FRAMEWORK


Which step in Exhibit 1 regarding valuing risky bonds has Thames most likely outlined correctly?

选项：

A.

Step 1.

B.

Step 2.

C.

Step 3.

解释：

Thames is correct in describing Step 3 but incorrect about both Step 1 and Step 2.

The third point in Step 1 is explained incorrectly. The par curve where each bond is priced at par value, not the spot curve, is used to derive implied zero-coupon rates. In the second point of Step 2, she is incorrect regarding the recovery rate. The assumption is not based on credit ratings. The recovery rate if default were to occur should conform to the seniority of the debt issue and the nature of the issuer’s assets. For instance, a firm with a high ratio of assets relative to the debt level and debt senior in the capital structure will result in a higher recovery for bondholders than one with the reverse situation.

步骤一，直接给了spot curve，那用它来做zero coupon rate 是否也可以？为什么必须用par curve来推导spot rate

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1 个答案

吴昊_品职助教 · 2023年02月20日

嗨，努力学习的PZer你好：


通过bootstrapping，我们可以从par rate中推导出spot rate，即zero-coupon rate。spot rate就是zero-coupon rate，这俩是一个概念，不能说从自己推导出自己。步骤1说用spot curve推导zero-coupon rate，自己推导自己，所以错误。下图是原版书上关于该知识点的解释。



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